After the Oscar for The Theory Of Everything (OK, and the Razzie nomination for Jupiter Rising), Eddie Redmayne demonstrates extraordinary range with this entirely convincing portrait of artist Einar Wegener and his groundbreaking transition into Lili Elbe, with the support of his heartbreakingly devoted wife Gerda (Alicia Vikander).

Not surprisingly, the exquisitely photographed and designed production takes advantage of the older sections of Copenhagen, Denmark, but also finds beautiful art nouveau interiors in Belgium and the UK (particularly London), as well as landscapes in Norway.

This is what it claims to be – the vibrant area with buildings painted in bright colours alongside the harbour wall. Their home is 12 Nyhavn, on the southern bank of the harbour.

Director Tom Hooper and his crew were given near-unlimited access to Nyhavn, transforming the entire harbour area into a fish market filled with old sail boats and classic vehicles to take it back to the 1920s.

Writer Hans Christian Anderson (portrayed by Danny Kaye in the 1950s musical) lived at times in various houses on the street.

Walking home after Einar’s exhibition of landscape paintings, he and Gerda chatter happily on Copenhagen's historic street, Snaregade, past half-timbered houses toward Magstraede in the old town.

On the corner of Nyhavn and Kongens Nytorv stands Charlottenborg Palace, which houses the Royal Danish Academy of Fine Arts, which is where Einar first appears as Lili at the artists’ ball.

Originally built as a residence for Ulrik Frederik Gyldenløve (not only a count and a general but the illegitimate son of King Frederick III of Denmark and Norway), the palace now also houses Kunsthal Charlottenborg, an institution for contemporary art, and Danmarks Kunstbibliotek, the Royal Art Library.

The real Einar and Gerda Wegener met as students at the Academy.

The room to which the pair sneak away is in a totally different academy. It’s the Life Drawing Room of the Royal Academy of Arts, Burlington House, Piccadilly, LondonW1. Originally a private Palladian mansion, Burlington House is most familiar to the general public as the venue for the Royal Academy's frequent art exhibitions.

The Danish Girl location: the Danish Theatre: Wilton's Music Hall, London

The interior, where Ulla performs, is Wilton’s Music Hall, 1 Grace’s Alley, Wellclose Square, off Cable Street, LondonE1. The hall, built in 1858, was the first and one of the most successful of London’s music halls. It was taken over by scandalised Methodists in the 1880s, and run as a mission until 1956, when it became a rag warehouse. For many years it lay dilapidated, used only for film shoots, including Richard Attenborough's biopic Chaplin, with Robert Downey Jr as the silent comic, The Krays, Karel Reisz’s Isadora, with Vanessa Redgrave as the flamboyant dancer, Douglas McGrath’s 2002 film of Nicholas Nickleby, Woody Allen’s Cassandra’s Dream and John Landis’s Burke And Hare, as well as music videos (Frankie Goes To Hollywood’s Relax must have had the Methodists whizzing round in their graves).

The Danish Girl location: the home of the enigmatic Henrik: Suensonsgade, Copenhagen | Photograph: Malcolm Davis

The enigmatic Henrik (Ben Whishaw), with whom Lili begins an ambiguous relationship, lives at No 8 Suensonsgade, Nyboder. The eyecatchingly bright row of yellow houses was originally built to house the growing number personnel in the Danish navy.

Once again, the interior is in London. It’s the superbly preserved 4 Princelet Street, Spitalfields, in the East End. Traditionally a desperately poor area and home to waves of immigrants from Huguenots and Jews to the current Bengali community, Spitalfields happily escaped redevelopment and its period houses are now greatly in demand.

On her way to take her own paintings to a dealer, Gerda Wegener passes one of Copenhagen's gems, the stock exchange building known as Børsen, built by the prolific King Christian IV, its prominent tower formed by four intertwined dragon tails.

Gerda’s portraits of Lili stand out as something special and once she gets a Parisian dealer, the couple relocates to Paris.

With London having stood in for ‘Copenhagen’, it’s now the Danish capital’s turn to become ‘France’. The streets of Copenhagen’s old town, Frederiksstad, stand in for the streets of ‘Paris’.

The interior of the Wegeners’ Parisian apartment was built in the studio, but the exterior is 19, 21, 23 Frederiksgade, between the Marble Church (Marmorkirken, the green dome you can see in the background) and the royal palace grounds of Amalienborg.

To complicate matters further, many of the ‘French’ scenes were filmed in the art nouveau gems of Brussels, Belgium.

When Gerda seeks help from Einar’s childhood friend, Hans Axgil (Matthias Schoenaerts), his gorgeous home is the Horta Museum, 23-25 rue Americaine in the Saint-Gilles district of Brussels, once home to art nouveau artist Victor Horta.

Also in Brussels is the extensive shopping gallery in which they walk as Gerda reveals she’s married to Einar. This is Galeries Royales Saint-Hubert, a glazed 19th Century shopping arcade.

Einar/Lili is a no-show for dinner with Gerda and Hans in the 'Parisian' restaurant. You can probably see its name on the large circular window. It’s Le Falstaff, Rue Henri Maus 19 in Brussels again.

Increasingly troubled, Einar/Lili attempts to research her condition. The huge library is actually the Fiolstræde Læsesal Reading Room, part of Copenhagen University's central campus. And while it's closed to the public, you might be able to glimpse the cast-iron columns and the vaulted ceiling.

But it’s back to Brussels to find the park in which Lili is viciously attacked. The elaborate wrought iron bandstand is in the 18th Century Royal Park. Parc de Bruxelles (French) or Warandepark (Dutch), is the largest urban public park in the centre of Brussels, surrounded by the Royal Palace, the Belgian parliament building and the United States embassy.

The Danish Girl filming location: Lili escapes from the clinic after the shocking diagnosis: Blythe House, Blythe Road, London W14

Things continue to get worse. Diagnosed as ‘schizophrenic’, Lili has to make an escape through the window of a clinic even as a strait-jacket is being fetched. This clinic is Blythe House, 23 Blythe Road, West Kensington, LondonW14, previously seen as the institution in which Dr Selvig is briefly held in Thor: The Dark World, and as ‘The Circus’ – the MI6 HQ in Tomas Alfredson’s 2011 film of Tinker, Tailor, Soldier, Spy.

The shed was closed in 1965 during the time of the Dr Beeching cuts, which notoriously savaged the UK’s rail system. The site retains many of the original buildings, as both a railway museum, and engineering maintenance centre. It even offers short rides to visitors.

It’s back to Denmark, but only briefly, to find the interior of Dr Warnekros’ ‘Dresden’ clinic, which is Copenhagen City Hall, Rådhuset, 1599 København V.

The Danish Girl location: the garden in which Lili recuperates: Hampstead Heath Pergola, North End Way Road, Hampstead, London NW3

The formal garden in which Lili recuperates after the first operation is one of London’s little-known gems. Don't be fooled by the wide river meandering through green fields – these beautiful landscape views were added digitally. It’s Hampstead Heath Pergola, just off North End Way Road, in front of Inverforth House, Hampstead, NW3.

The ornate Georgian raised terrace and pillared walkway, overgrown with vines and exotic flowers, was once part of the gardens of Inverforth, originally owned by soap magnate Lord Leverhulme (owner of Lever Brothers, now Unilever).

The huge amount of material needed to raise the steep plot on which to build the Pergola was fortuitously supplied by the spoil from the newly-dug tunnels for the Hampstead extension to the Northern Line in 1905.

Long deserted and decayed, the Pergola was restored in the 1990s.

Lili finds “a stage to perform…” with a job at the perfume counter of ‘Fonesbech's’, the glamorous ‘Parisian’ department store.

This is the opulent Ballroom of the Park Lane Hotel, Piccadilly, LondonW1, where one of the Ballroom’s doors on the busy thoroughfare was temporarily replaced, to become a shop window.

One of the city's finest examples of art deco style, the Grade II listed Ballroom also featured as an ocean liner in the 2008 film of 2008 film of Brideshead Revisited and Bond movie GoldenEye, as well as standing in for a ‘Manhattan’ hotel for 2008 rom-com Made Of Honor.

The epilogue, as Gerda and Hans visit the village where Einar grew up, was filmed in Norway, at Mannen, Haramsøya.

Haramsøya is an island in Møre og Romsdal county, between the islands of Lepsøya and Flemsøya, just over four miles northwest of the mainland of Haram. The island is connected to the mainland via a car ferry to the mainland and to Lepsøya. The Ullasund Bridge also connects the island to the neighbouring island of Flemsøya to the north.